The purpose of this document is to give the reader an overview of the swap functions located in the Interest Rate Derivate category in RIO. Using this document should help the user to setup and calculate key figures on different interest rate products.
The product range of the functions is very large and consists among others of well known interest rate contracts as plain vanilla swaps, European and Bermudan swaptions, cancelable swaps, caps/floors, CMS spread options, yield curve swaps, currency swaps etc.
The functions take as their starting point an interest rate contract with or without embedded options and triggers. Each contract consists of a number of underlying cash flows, called legs, which are all independently specified with their own amortization profiles, interest rate fixings etc. A leg can be of the types Payer, Receiver or None. A payer leg adds negative payments to the contract and the receiver leg adds positive payments.
Results can be returned at both contract and leg level. Standard sensitivities as Gamma, Delta and Vega can be calculated on contract as well as on each leg, but also delta vectors, cashflows etc. are returned as results of the calculations.
In some of the functions it is possible to freely specify yield curve and volatility model of each fixing rate, while different curves are used for discounting the payments.